Tractable Counterparts of Distributionally Robust Constraints on Risk Measures

K.S. Postek, Dick Den Hertog and Bertrand Melenberg ()
Additional contact information
K.S. Postek: Tilburg University, Center For Economic Research

No 2014-031, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: risk measure; robust counterpart; nonlinear inequality; robust optimization; support functions (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... cad8c9c716e/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:c3a1df3e-f338-4989-806a-d2c4caa79d56

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().